Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Rail Vikas Nigam Ltd. backtest
10 trend-following strategies were compared on the full daily history of Rail Vikas Nigam Ltd.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 43.2%, MDD -34.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 40.2%, drawdown -64.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 43.1%, MDD -35.5%, Sharpe 1.13, 53% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 43.2%, MDD -34.9%, exposure 48%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 43.2%, MDD -34.9%, exposure 48%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=50, slow=198 |
43.1% | -35.5% | 1.13 | 1.21 | 13.7x | 6 | 53% |
| ROC 모멘텀 n=123, threshold=0.07 |
43.2% | -34.9% | 1.11 | 1.24 | 13.8x | 46 | 48% |
| EMA 크로스오버 fast=6, slow=211 |
38.9% | -53.1% | 1.02 | 0.73 | 11.0x | 16 | 55% |
| MACD fast=16, slow=59, signal=17 |
34.2% | -30.4% | 0.99 | 1.13 | 8.6x | 61 | 46% |
| ADX / DI 방향성 period=48, threshold=15 |
33.5% | -52.0% | 0.98 | 0.64 | 8.3x | 16 | 40% |
| 볼린저 밴드 돌파 n=62, k=1.5 |
34.1% | -39.2% | 0.97 | 0.87 | 8.5x | 24 | 39% |
| Donchian 채널 돌파 entryN=115, exitN=43 |
31.7% | -36.4% | 0.95 | 0.87 | 7.5x | 10 | 35% |
| Supertrend period=9, mult=3.1 |
33.6% | -34.0% | 0.93 | 0.99 | 8.3x | 38 | 53% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=21, mult=2.3 |
27.7% | -33.0% | 0.86 | 0.84 | 6.0x | 30 | 36% |
| Parabolic SAR step=0.04, maxStep=0.24 |
25.2% | -65.4% | 0.77 | 0.39 | 5.2x | 203 | 47% |
| Buy and hold | 40.2% | -64.9% | 0.92 | 0.62 | 11.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 50-day average price crosses above the 198-day average
- Sell — Sell (to cash) when the 50-day average falls below the 198-day average